The lesser of two evils is still, by definition, evil.
The whole thing is evil. This is NOT about "supporting" one bad candidate over another bad one. This is about defeating the establishment.
In this particular case, Cochran isn't even the lesser of two evils. I don't know for sure how I'd vote if I actually were a MS voter. But looking at this from outside, what happened is so disgusting that if the 'pubs want a majority in the US Senate, they'll have to do it with a Cochran loss. As constitutional conservatives, we lose if their tactics work.